Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0526
Annualized Std Dev 0.2951
Annualized Sharpe (Rf=0%) 0.1783

Row

Daily Return Statistics

Close
Observations 2933.0000
NAs 1.0000
Minimum -0.1427
Quartile 1 -0.0078
Median 0.0006
Arithmetic Mean 0.0004
Geometric Mean 0.0002
Quartile 3 0.0091
Maximum 0.0894
SE Mean 0.0003
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0011
Variance 0.0003
Stdev 0.0186
Skewness -0.6615
Kurtosis 6.4070

Downside Risk

Close
Semi Deviation 0.0137
Gain Deviation 0.0125
Loss Deviation 0.0147
Downside Deviation (MAR=210%) 0.0180
Downside Deviation (Rf=0%) 0.0135
Downside Deviation (0%) 0.0135
Maximum Drawdown 0.7585
Historical VaR (95%) -0.0282
Historical ES (95%) -0.0455
Modified VaR (95%) -0.0311
Modified ES (95%) -0.0634
From Trough To Depth Length To Trough Recovery
2011-04-29 2020-03-18 NA -0.7585 2490 2236 NA
2009-12-03 2010-02-08 2010-05-11 -0.2185 109 45 64
2011-01-03 2011-01-25 2011-02-17 -0.1302 33 16 17
2010-05-13 2010-06-04 2010-09-02 -0.1092 79 16 63
2009-10-15 2009-10-28 2009-11-16 -0.0968 23 10 13

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA NA NA NA NA NA 3.3 0.7 -1.9 -1.9 3.5 0.2 3.8
2010 3 -0.2 2.2 0.8 -0.1 -4.4 2.2 0.3 1.6 -0.4 1.4 1.4 8.1
2011 1.8 2.3 0.2 -0.9 -4.9 -2.5 -1.4 0.2 -3.4 -3.2 -0.3 -0.4 -12
2012 1.5 2.7 0.1 -0.3 2.5 3.9 -2.1 4.6 0.6 -0.1 -2.4 1 12.3
2013 1.1 0.2 -1.2 -2.6 -2.4 -0.1 -1 -1.8 -2.3 -0.1 1.5 -0.8 -9
2014 0 -0.8 0.1 -0.7 -1.2 -0.3 -0.7 -0.5 0.9 -2 6.3 -3.8 -3
2015 1.7 0.2 1.9 0.5 0.2 -0.7 -0.2 -0.2 0.1 -0.4 0.7 -0.2 3.4
2016 0.4 -0.3 -2.4 1.3 0 4.8 0.4 1.2 0.5 2.6 0.1 -1.3 7.3
2017 -0.2 0.4 0.5 -1.9 -0.1 -0.1 -0.8 0.5 -1.1 2.5 0.1 0.7 0.3
2018 -0.6 0.6 0.4 -1 -0.2 0.5 -0.9 -0.4 -0.8 3.1 -0.9 0.7 0.5
2019 -0.8 -2.9 -0.1 -1.9 0.3 -1.2 0.8 0.6 1.3 -0.1 0.4 -0.2 -3.9
2020 0.9 -5.9 -0.1 0.1 2.5 -1.1 4.1 -0.3 2 1.3 6 -0.7 8.7
2021 7.2 -0.2 0.8 NA NA NA NA NA NA NA NA NA 7.8

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart